Haluk Ünal Directory Page
Haluk Ünal
Professor
Ph.D., The Ohio State University
Haluk Ünal is a Professor of Finance, at the Robert H. Smith School of Business, University of Maryland, Special Advisor to the Center for Financial Research of the FDIC, and Senior Fellow at the Wharton Financial Institutions Center. He is also the Managing Editor of the Journal of Financial Services Research.
Mr. Ünal holds doctorates in finance from The Ohio State University and in economics from Istanbul University, where he did his undergraduate work as well. Mr. Ünal also earned an MS degree in accounting from Ohio State. He previously taught at Ohio State and The Wharton School of the University of Pennsylvania. He teaches corporate finance, management of financial institutions, and fixed income securities courses.
His current research focuses on executive compensation, corporate bonds, bank mergers, pricing default risk, risk management, and bank resolution costs. He is published in the Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Financial Services Research, Journal of Money Credit and Banking, Journal of Banking and Finance, Review of Derivatives Research, Journal of Financial Economics, and Review of Financial Studies.
Mr. Ünal has been a consultant to the World Bank, Federal Deposit Insurance Corporation, and the Department of Justice. He is also on the academic council of Standard and Poor’s. Internationally, he delivered invited lectures in Portugal, China, Italy, Mexico, Peru, Poland, Spain, Switzerland, and Turkey. He also held executive training for Bank of Beijing, China Merchants Bank, Banco Santander, Minsheng Bank, Fannie Mae, Hughes Network Systems, Oracle, PENN-Securities Association of China, SAIC, Wharton’s International Housing and EMTM programs.
Mr. Ünal has been the President of the Turkish-American Scientist and Scholars Association (TASSA) since 2010.
News
Cleveland Fed President Discusses Monetary Policy, Tomorrow’s Jobs and the Importance of Data
Data comes from all sorts of places…
MBA students at the University of Maryland’s Robert H. Smith School of Business had the opportunity to meet with and hear perspective…
Factors and implications surrounding the financial crisis of 2008 was the focus of a recent presentation by Martin J. Gruenberg,…
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2012
Minnick K, Unal H, Yang L. Social Science Research Network Working Paper Series [Internet]. 2012. Publisher's Version
Abstract
We examine how managerial incentives affect acquisition decisions in the banking industry. We find that higher pay-for-performance sensitivity (PPS) leads to value-enhancing acquisitions. Banks whose CEOs have higher PPS have significantly better abnormal stock returns around the acquisition announcements. On average, acquirers in the High-PPS group outperform their counterparts in the Low-PPS group by 1:4% in a three-day window around the announcement. Ex ante, higher PPS helps to reduce the incentives to make value-destroying acquisitions, while at the same time promote value-enhancing acquisitions. The positive market reaction can be rationalized by post-merger performance. Following acquisitions, banks with higher PPS experience greater improvement in their operating performance. We show that the effect of PPS is mainly driven by small and medium-sized banks, but is not present in large banks.
Bennett R, Guntay L, Unal H. Social Science Research Network Working Paper Series [Internet]. 2012. Publisher's Version
Abstract
In this paper, we examine whether the structure of the chief executive officer's (CEO) compensation package can explain default risk and performance in bank holding companies (BHCs) during the recent credit crisis. Using a sample of 371 BHCs, we show that in 2006 lower holdings of inside debt relative to equity by a CEO has an association with higher default risk and worse performance during the crisis period. We also show that inside debt is a better signal of the BHCs' performance and default risk than inside equity measures. Finally, we provide evidence that supervisors issued favorable ratings to the lead bank in BHCs that paid their CEOs relatively higher inside debt.
2010
Bennett R, Unal H. Social Science Research Network Working Paper Series [Internet]. 2010. Publisher's Version
Abstract
In this paper, we examine how the cost of resolving bank failures differs between an FDIC liquidation and a private-sector resolution where the assets remain in the banking system. Our findings show that private-sector resolutions do not deliver the expected cost-savings prior to the passage of the Federal Deposit Insurance Corporation Improvement Act (FDICIA) of 1991. We obtain this result when we control for the selection bias that arises from the resolution process. In contrast, during the post-FDICIA period, we observe that private-sector resolutions yield significant cost savings over FDIC liquidations. We also find that the direct costs are lower for private-sector resolutions over the sample period. We derive these results from a sample that spans all failures between 1986 and 2007.
2008
Yang L, Unal H, Minnick K. Social Science Research Network Working Paper Series [Internet]. 2008. Publisher's Version
Abstract
We examine the impact of managerial incentives on acquisitions in the banking industry. We find that banks whose CEOs have higher pay-for-performance sensitivity (PPS) are less likely to engage in value-reducing acquisitions. Conditional on engaging in acquisitions, those higher-PPS banks have significantly better announcement returns: on average these banks outperform the acquirers in the lower-PPS group by $1.4% in a three-day window around the announcement. The positive market reaction can be rationalized by long-term performance. Following acquisitions, banks with high PPS experience greater improvement in their operating performance as measured by ROA.
2007
Jarrow R, Madan D, Unal H. Social Science Research Network Working Paper Series [Internet]. 2007. Publisher's Version
Abstract
This paper proposes an aggregate deposit insurance premium design that is risk-based in the sense that the premium structure ensures the deposit insurance system has a target of survival over the longer term. Such a premium system naturally exceeds the actuarily fair value and leads to a growth in the insurance fund over time. The proposed system builds in a swap in premia that reduces premia when fund size exceeds a threshold. In addition, we build in a swap contract that trades premia in good times for relief in bad times.
2005
Penas M, Unal H. Social Science Research Network Working Paper Series [Internet]. 2005. Publisher's Version
Abstract
We present evidence that the adjusted returns of merging banks' bonds are positive and significant across pre-merger and announcement months. The cross-sectional evidence indicates that the primary determinants of merger-related bondholder gains are diversification gains, gains associated with achieving too-big-to-fail status, and, to a lesser degree, synergy gains. We obtain the same finding when we examine the acquiring banks' credit spreads on new debt issues both before and after the merger. We also provide the first study that shows acquirers benefit by the lower cost of funds on post-merger debt issues.
Jiangli W, Unal H, Yom C. Social Science Research Network Working Paper Series [Internet]. 2005. Publisher's Version
Abstract
In this paper we examine whether the intensity of banking relationships, measured by the number of banks with which a firm does business, benefits firms by making credit more available during periods of financial stress. We model credit availability to be determined jointly with the decision to post collateral and with the firm's choice of the number of lending relationships. Our main finding is that relationship banking increased the likelihood of obtaining credit during the Asian crisis for Korean and Thai firms. In contrast, we observe no significant association between relationship banking and credit availability for Indonesian and Philippine firms. We consider accounting disclosure a possible alternative factor that can explain the observed country differences. Our results show that except for Indonesia, audited financial information and accounting disclosure have no material impact on banks' credit decisions.
Madan D, Unal H. Social Science Research Network Working Paper Series [Internet]. 2005. Publisher's Version
Abstract
This paper proposes methods for obtaining risk neutral distributions when only the statistical density is observed. We employ renormalized exponential tilts and estimate the tilt coefficients from related options markets. Particular emphasis is placed on reinsurance losses for which we price in closed form using the Weibull extreme value distribution. The procedure is illustrated in detail for FDIC losses.
2004
Guntay L, Prabhala N, Unal H. Social Science Research Network Working Paper Series [Internet]. 2004. Publisher's Version
Abstract
We show that firms attach call options to debt issues to manage interest-rate risk and characterize the empirical determinants of this hedging decision. Our results affirm that firms' hedging choices are explained by theories of hedging demand, but more importantly, provide novel evidence that the supply side of hedging is equally important. In contrast to studies based on OTC derivatives, small firms are more likely to hedge in our setting, in which supply-side barriers are absent. We show that there is a secular, robust shift away from callable bonds in the 1990s, when supply-side barriers to hedging declined. This shift is more likely when firms disclose derivatives usage disclosed in their 10-K's
Kane E, Unal H. Social Science Research Network Working Paper Series [Internet]. 2004. Publisher's Version
Abstract
This paper decomposes both the market sensitivity and the interest-rate sensitivity of bank stock into on-balance-sheet and off-balance-sheet components. It derives these constituent and often-offsetting sensitivities from a nonstationary three-equation model that employs accounting and capital-market information to explain cross-sectional and temporal variation in the value of stockholder equity. To control statistically for heteroskedasticity and intrasample differences in unbooked capital positions, the model is estimated separately for three size classes of large U.S. banks. Parameter estimates confirm the importance of "hidden" or unbooked capital at these banks. For the nation's very largest banks, shifts in the value of these parameters are consistent with the view that the capitalized value of federal deposit-insurance guarantees burgeoned in the 1980s with interest volatility, demonstrations of regulatory forbearance, and relaxation of deposit-rate ceilings.
Madan D, Unal H. Social Science Research Network Working Paper Series [Internet]. 2004. Publisher's Version
Abstract
This paper proposes methods for obtaining risk neutral distributions when only the statistical density is observed. We employ renormalized exponential tilts and estimate the tilt coefficients from related options markets. Particular emphasis is placed on reinsurance losses for which we price in closed form using the Weibull extreme value distribution. The procedure is illustrated in detail for FDIC losses.
2003
Penas M, Unal H. Social Science Research Network Working Paper Series [Internet]. 2003. Publisher's Version
Abstract
This paper presents evidence that merging banks' bond adjusted returns are positive and significant in premerger and announcement months. Also, the acquiring banks' credit spreads on new debt issues are lower after the merger. Diversification and incremental size attained in the merger are significant determinants of the bond returns and the decline in credit spreads, after controlling for leverage and asset quality changes. Size effects are only significant for medium-size banks.
2002
Unal H, Guntay L, Madan D. Social Science Research Network Working Paper Series [Internet]. 2002. Publisher's Version
Abstract
This paper proposes a simple approach to infer the risk neutral density of recovery rates implied by the prices of the debt securities of a firm. The proposed approach is independent of modeling default arrival rates and allows for the violation of absolute priority rule (APR). The paper demonstrates that a new statistic, the adjusted relative spread, captures risk neutral recovery information in debt prices. Interest rates and firm tangible assets are shown to be significant determinants of the price of recovery. An application illustrates the pricing of credit derivatives written on the realized recovery rate.
Unal H, Guntay L, Madan D. Social Science Research Network Working Paper Series [Internet]. 2002. Publisher's Version
Abstract
This paper proposes a simple approach to infer the risk neutral density of recovery rates implied by the prices of the debt securities of a firm. The proposed approach is independent of modeling default arrival rates and allows for the violation of absolute priority rule (APR). The paper demonstrates that a new statistic, the adjusted relative spread, captures risk neutral recovery information in debt prices. Interest rates and firm tangible assets are shown to be significant determinants of the price of recovery. An application illustrates the pricing of credit derivatives written on the realized recovery rate.
2001
Unal H, Guntay L, Madan D. Social Science Research Network Working Paper Series [Internet]. 2001. Publisher's Version
Abstract
This paper proposes a simple approach to estimate the implied recovery rates embedded in the prices of the debt securities of a firm that differ in priority at time of default. The approach allows for a complex capital structure setting assuming that the absolute priority rule (APR) can be violated. The paper demonstrates that a new statistic, the adjusted relative spread, captures recovery information in debt prices. Model implied recovery rates from corporate bond prices are observed to be consistent with the findings of Altman and Kishore (1996). Interest rates and firm tangible assets are shown to be significant determinants of recovery rates.
Kane E, Unal H, Demirgüç-Kunt A. Social Science Research Network Working Paper Series [Internet]. 2001. Publisher's Version
Abstract
This paper measures and analyzes two types of hidden capital at Japanese banks: (1) the net undervaluation present in accounting measures of on-balance-sheet assets and liabilities and (2) the net economic value of off-balance-sheet items. A model is constructed that explains changes in both types of capital as functions of holding that explains changes in both types of capital as functions of holding-period returns earned in Japan on stocks, bonds, yen, and real estate. The model is applied to annual data covering 1975-1989 and a four-class size/charter partition of the Japanese banking system. For each type of hidden capital and each class of bank, the model develops estimates of the stock-market, interest-rate, foreign-exchange, and real estate sensitivities of returns to bank stockholders. Only the stock-market sensitivities prove significant at five percent. This finding leads us to investigate what happens when we analyze Japanese bank stock returns by means of stationary and split-sample market models. Timeseries regressions show that very large Japanese banks have developed stockmarket betas in excess of two and that the value of a bank's beta has come to increase with measures of its size and accounting leverage. Future research will investigate the sensibility of our results to different ways of pooling data from individual banks and to more-sophisticated methods for estimating various parameters. We also plan to extend the analysis by imbedding it in a model of how variations in bank-customer contracting arrangements in Japan affect the returns that can be earned by bank stockholders.
Unal H, Guntay L, Madan D. Social Science Research Network Working Paper Series [Internet]. 2001. Publisher's Version
Abstract
A Simple Approach to Estimate Recovery Rates with APR Violation from Debt Spreads by Haluk Unal, Dilip Madan, and Levent Guntay This paper proposes a simple approach to estimate the implied recovery rates embedded in the prices of the debt securities of a firm that differ in priority at time of default. The approach allows for a complex capital structure setting assuming that the absolute priority rule (APR) can be violated. The paper demonstrates that a new statistic, the adjusted relative spread, captures recovery information in debt prices. Model implied recovery rates from corporate bond prices are observed to be consistent with the findings of Altman and Kishmore (1996). Interest rates and firm tangible assets are shown to be significant determinants of recovery rates.
2000
Kane E, Unal H. Social Science Research Network Working Paper Series [Internet]. 2000. Publisher's Version
Abstract
Using the Goldfeld and Quandt switching regression method, this paper investigates variability over 1975-85 in the risk components of bank and saving and loan stock. We develop evidence that the market-beta, interest-sensitivity, and residual risk of deposit-institution stock vary significantly during this period. Reassessing previous event studies in light of these findings suggests that event-study methods tend to overreach their data.
Madan D, Unal H. Social Science Research Network Working Paper Series [Internet]. 2000. Publisher's Version
Abstract
This paper proposes a two-factor hazard rate model, in closed form, to price risky debt. The likelihood of default is captured by the firm's non-interest sensitive assets and default-free interest rates. The distinguishing features of the model are threefold. First, the impact of capital structure changes on credit spreads can be analyzed. Second, the model allows stochastic interest rates to impact current asset values as well as their evolution. Finally, the proposed model is in closed form, enabling us to undertake comparative statics analysis, compute parameter deltas of the model, calibrate empirical credit spreads, and determine hedge positions. Credit spreads generated by our model are consistent with empirical observations.
1998
Unal H. Social Science Research Network Working Paper Series [Internet]. 1998. Publisher's Version
Abstract
This paper offers, for the first time, a critical evaluation of the appraisal equations that are used to estimate the value of a thrift, converting from a manual to a stock charter. The paper shows that these regulatory appraisal equations are fundamentally flawed and cause appraisers to use fictitious numbers in their analyses. The consequence of this is quite serious, since the appraisal industry used these flawed equations and appraised the value of 1600 converting thrifts to be $16 billion for conversions completed during the 1975-1994 period. The paper calls for a close congressional and regulatory scrutiny of the appraisal process in thrift conversions.
Schrand C, Unal H. Social Science Research Network Working Paper Series [Internet]. 1998. Publisher's Version
Abstract
We provide an explanation for hedging as a means of allocating rather than reducing risk. We argue that when increases in total risk are costly, firms optimally allocate risk by reducing (increasing) exposure to risks that provide zero (positive) economic rents. Our evidence shows that mutual thrifts which convert to stock institutions increase total risk following conversion, consistent with their increased abilities and incentives for risk taking. They achieve this increase by hedging interest-rate risk and increasing credit risk. We provide some evidence that risk management activities are related to growth capacity and management compensation structure attained at conversion.
Schrand C, Unal H. Social Science Research Network Working Paper Series [Internet]. 1998. Publisher's Version
Abstract
We provide an explanation for hedging as a means of allocating rather than reducing risk. We argue that firms facing a total risk constraint optimally allocate risk by reducing (increasing) exposure to risks providing zero (positive) economic rents. Our evidence suggests that mutual thrifts which convert to stock institutions reduce interest-rate risk through improved balance sheet maturity matching and increased derivatives use at the time of conversion. This interest-rate risk reduction is followed by slower growth in credit risk. Post-conversion, risk management activities are significantly related to growth capacity and management compensation structure attained at conversion.
Unal H, Navarro M. Social Science Research Network Working Paper Series [Internet]. 1998. Publisher's Version
Abstract
Roughly eight years after the Mexican banks were nationalized, former President Carlos Salinas de Gortari submitted to Congress on May 2, 1990, a constitutional amendment to re-privatize commercial banks. In the course of fifteen months thereafter, controlling shares of 18 banks with aggregate assets of $128 billion were auctioned for $12.4 billion. Mexico's experience with bank privatization is considered to be very successful and stands as an example to other countries considering the privatization of their banking system. Clear objectives and the adoption of transparent and credible procedures are frequently cited as the basis for the effectiveness of the Mexican program (Barnes, 1992). Surprisingly little has been written documenting the great length to which the Mexican government went through to ensure due procedure and transparency through the entire bank privatization process. Hence, the first objective of this paper is to provide a clear and concise review of the technical process describing how Mexican banks were privatized. Specifically, the paper illustrates the procedures followed in the valuation of the banks, the registration and approval of the parties interested in acquiring these institutions and the sale of the government's equity interest. Second, we review the bidding structure for each privatization case in detail. The paper also provides an estimate of the market values for 12 banks, at the time of their auction, by examining their share prices in the vicinity of the auction time. We report that on average the winning bidders paid a 45 percent premium over the banks' estimated market values.
1995
Madan D, Unal H. Social Science Research Network Working Paper Series [Internet]. 1995. Publisher's Version
Abstract
This paper models default risk as composed of arrival and magnitude risks. In our model the two default components are explicitly priced as if they were traded in the futures market and the spot price of risky debt is derived as a consequence. We develop estimation strategies to evaluate the magnitude risks which are then employed to construct implicit prices of pure arrival risk contingent securities. The latter prices are used to estimate the structure of arrival risks. The models are estimated on monthly data for rates on certificates of deposit offered by institutions in the Savings and Loan Industry, during the 1987-1991 period. Empirical results support market expectations of lower likelihoods of default after 1989.This paper was presented at the Wharton Financial Institutions Center's conference on Risk Management in Banking, October 13-15, 1996.
Risk Management:
Hedging and Coordinated Risk Management: Evidence from Mutual-to-Stock Conversions, The Journal of Finance, with Catherine Schrand, June 1998.
Pricing the Risks of Default, Review of Derivatives Research, with Dilip Madan, forthcoming 1998.
Mutual-to-Stock Conversions:
Privatizing Mutual Thrifts, with Ronald Masulis. (work-in-progress).
Hedging and Coordinated Risk Management: Evidence from Mutual-to-Stock Conversions, The Journal of Finance, with Catherine Schrand, June 1998.
Regulatory Misconceptions in Pricing Thrift Conversions: A Closer Look at the Appraisal Process, Journal of Financial Services Research, June 1997, Vol 11, No. 3, pp 239-254.
Issue Size Choice and "Underpricing" in Thrift Mutual-to-Stock Conversions, The Journal of Finance, December 1993, with Vojislav Maksimovic, pp 1659-1692.
Fixed Income Securities:
A Two-Factor Hazard-Rate Model For Pricing Risky Debt with Random Recovery Rates, with Dilip Madan. (work-in-progress)
Pricing the Risks of Default, Review of Derivatives Research, with Dilip Madan, forthcoming 1998.
The Structural Behavior of the Japanese Gensaki Rate, in W. T. Ziemba, W. Bailey and Y. Hamao (editors), Japanese Financial Market Research, 1991, Elsevier-North Holland, with Kwok-Wai Leung and Anthony B. Sanders.
On the Intertemporal Behavior of the Short-Term Rate of Interest, Journal of Financial and Quantitative Analysis, Vol. 23, December 1988, with, Anthony B. Sanders, pp. 417-423.
Bank Stock Returns and Event Studies:
Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms, The Journal of Finance, with Edward J. Kane, Vol. 45, No. 1 (March 1990), pp. 113-136.
Impact of Deposit-Rate Ceiling Changes on Bank Stock Returns, Journal of Money, Credit and Banking, Vol. 21, No. 2 (May 1989) pp. 207-220.
Two Approaches to Assessing the Interest-Rate Sensitivity of Deposit Institutions' Equity Returns, Research in Finance, Vol. VII, 1988, JAI Press, with, Edward J. Kane, pp. 113-137.
Change in Market Assessment of Deposit-Institution Riskiness, Journal of Financial Services Research, Vol. 1, June 1988, with, Edward J. Kane, pp. 207-229.
Parameter Variability, Event Studies, and the Two-Index Model, Proceedings of a Conference on Bank Structure and Competition, The Federal Reserve Bank of Chicago, 1988.
Off-Balance-Sheet Items and the Changing Market and Interest-Rate Sensitivity of Deposit-Institution Equity Returns, Proceedings of a Conference on Bank Structure and Competition, The Federal Reserve Bank of Chicago, 1987.
Japanese Banking:
Market Assessments of Efficiency at Japanese Banks, with Gordon Phillips. (work-in-progress).
The Brady Announcement, 1989 Mexican Debt-Reduction Agreement, and Bank Stock Returns in the United States and Japan, with Asli Demirguc-Kunt and Kwok-Wai Leung, Journal of Money, Credit and Banking, August 1993.
The Structural Behavior of the Japanese Gensaki Rate, in W. T. Ziemba, W. Bailey and Y. Hamao (editors), Japanese Financial Market Research, 1991, Elsevier-North Holland, with Kwok-Wai Leung and Anthony B. Sanders.
Analyzing Hidden Capital at Japanese Banks, in S. G. Rhee and R. P. Chang (editors), Pacific-Basin Capital Markets Research, coauthor, Edward J. Kane and Asli Demirguc-Kunt, Elsevier Science Publishers B.V. (North-Holland), 1991.
Capital Positions of Japanese Banks, Proceedings of a Conference on Bank Structure and Competition, The Federal Reserve Bank of Chicago, 1990.
Bank Privatization:
The Technical Process of Bank Privatization in Mexico, with Navarro